In this paper we propose a bivariate generalization of a weighted indexed
semi-Markov chains to study the high frequency price dynamics of traded stocks.
We assume that financial returns are described by a weighted indexed
semi-Markov chain model. We show, through Monte Carlo simulations, that the
model is able to reproduce important stylized facts of financial time series
like the persistence of volatility and at the same time it can reproduce the
correlation between stocks. The model is applied to data from Italian stock
market from 1 January 2007 until the end of December 2010.Comment: arXiv admin note: substantial text overlap with arXiv:1205.2551,
arXiv:1109.425
